Dhenry... please stop...
Actually I am beginning to think that he has mental health problems.
You must admit he is consistently very wrong on this and it is getting tiring trying to correct him.
This of course confuses beginners as they do not know who to believe. But on this topic dear henry seems to want people to damage their arduinos. I don't know why, he must get some sort of kick from it.
For further information of why you need current limiting to keep things safe see this:-
http://www.thebox.myzen.co.uk/Tutorial/LEDs.html
Note that I managed to draw 250mA from an arduino pin, that is way over the damage point of 40mA.